Going it alone...

[ck1]

Has anyone given up a good well paid job to set up their own business, did it work out? would you recommend it..?

[Mistopheles]

I gave up a well paid job in the retail trade to run my own karate club chain. I loved most of it, and it was very successful. I'm no longer in the business and have moved on for health reasons, but was able to sell on the business. It was harder work than I ever imagined, but with greater rewards than I expected.

Couple of bits of advice:
Research EVERYTHING first - how much it'll cost to set up, customer research, money for advertising etc. Don't forget to budget for the little stuff.
Talk to your bank manager - a sympathetic one will be essential. Many banks offer a small business consultation service.
If you've got chance to do some stuff before leaving work, then do so - if you could try it part time for example, or do some work experience in a similar business.
Don't expect to make any money immediately.
Only do it if it's what you really want - you can't succeed if you go into it half-heartedly. You have to be prepared to make a lot of sacrifices.

Having said all that - it can really be worth it. Just be sure it's what you want.
Good luck.